Author: Sasa Persic
Model: Long Short S&P 500
Covestor manager Sasa Persic has over 10 years of trading experience along with knowledge of various markets and instruments. His approach is based on statistical analysis of historical data for broad market. Persic manages Covestor’s Long Short S&P 500 model. which
utilizes statistical analysis on decades of market data. Various strategies were backtested and one with highest risk adjusted return is chosen to work with. System trades only with SPY or related instruments. System can go long or short and use up to 2x leverage. On average about 40-50 trades are taken per year usually at the close of the market. In addition to strategy, simple but effective money management is in place to reduce drawdowns.
Persic had this to say about the model’s performance in March:
Observing my model, you might think that I don’t like to trade. But it is not me, it is just that this model’s strategy has not signaled many trades the last 30 days.
Concerning the gap between the model and S&P 500 (NYSE: SPY), as I mentioned in February’s update, I hope we’ll get closer to it. Actually, in the middle of March we got closer than ever since inception, as we narrowed at that point to a 3% difference between the model and S&P500. (On March 16 the gap was less than 3%).
Since then, the S&P500 ran up again, while the model has been flat. Waiting patiently.
